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Credit Default Swaps Drawup Networks: Too Tied To Be Stable?
Credit Default Swaps Drawup Networks Risk Management
2012/6/2
We analyse time series of CDS spreads for a set of major US and European institutions on a pe- riod overlapping the recent financial crisis. We extend the existing methodology of {\epsilon}-drawdowns ...
On break-even correlation: the way to price structured credit derivatives by replication
CDO replication Gaussian Copula structural models
2012/4/28
We consider the pricing of European-style structured credit payoff in a static framework, where the underlying default times are independent given a common factor. A practical application would consis...
A simple, yet reasonably accurate, analytical technique is proposed for multi-factor structural credit portfolio models. The accuracy of the technique is demonstrated by benchmarking against Monte Car...